How do I fix the 'Texface Conversion Problem' message when importing Yo-Frankie files into 2.72
In short, the game material system between Blender 2.49 and 2.6 has changed a lot: http://code.blender.org/index.php/2011/09/bge-material-texface-changes/

This requires a automated conversion process, which sometimes fails for complex projects like Yo Frankie. You should check the console to see exactly what the problem is.